Derivatives (Tables)

6 Months Ended

Jun. 30, 2012

Derivative Instrument Detail [Abstract]

The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at June 30, 2012 (in thousands):



	Gross Basis								Net Basis²
	Assets				Liabilities				Assets			Liabilities
	Notional¹		Fair Value		Notional¹		Fair Value		Fair Value			Fair Value
Customer risk management programs:
Interest rate contracts³
To-be-announced mortgage-backed securities	$	13,724,514	$	144,158	$	13,579,184	$	140,873	$	104,781		$	101,496
Interest rate swaps	1,271,138		77,121		1,271,138		77,671		77,121			77,671
Energy contracts	1,667,819		150,754		1,653,592		156,690		75,625			81,561
Agricultural contracts	140,722		4,655		140,255		4,604		1,125			1,074
Foreign exchange contracts	136,815		136,815		136,483		136,483		136,815			136,483
Equity option contracts	218,149		13,726		218,149		13,726		13,726			13,726
Total customer derivative before cash collateral	17,159,157		527,229		16,998,801		530,047		409,193			412,011
Less: cash collateral	—		—		—		—		(50,622		)	(42,559		)
Total customer derivatives	17,159,157		527,229		16,998,801		530,047		358,571			369,452
Interest rate risk management programs	66,000		7,633		25,000		601		7,633			601
Total derivative contracts	$	17,225,157	$	534,862	$	17,023,801	$	530,648	$	366,204		$	370,053


¹	Notional amounts for commodity contracts are converted into dollar-equivalent amounts based on dollar prices at the inception of the contract.


²	Derivative contracts are recorded on a net basis in the balance sheet in recognition of master netting agreements that enable the Company to settle all derivative positions with a given counterparty in total and to offset the net derivative position with the related cash collateral.


³	Includes interest rate swaps used by borrowers to modify interest rate terms of their loans and to be announced securities used by mortgage banking customers to hedge their loan production.

When bilateral netting agreements exist between the Company and its counterparties that create a single legal claim or obligation to pay or receive the net amount in settlement of the individual derivative contracts, the Company reports derivative assets and liabilities on a net by counterparty basis.

Derivative contracts may also require the Company to provide or receive cash margin as collateral for derivative assets and liabilities. Derivative assets and liabilities are reported net of cash margin when certain conditions are met. As of June 30, 2012, a decrease in credit rating from A1 to below investment grade would increase our obligation to post cash margin on existing contracts by approximately $38 million.

The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at December 31, 2011 (in thousands):



	Gross Basis								Net Basis²
	Assets				Liabilities				Assets			Liabilities
	Notional¹		Fair Value		Notional¹		Fair Value		Fair Value			Fair Value
Customer risk management programs:
Interest rate contracts³
To-be-announced residential mortgage-backed securities	$	9,118,627	$	101,189	$	9,051,627	$	99,211	$	68,519		$	66,541
Interest rate swaps	1,272,617		81,261		1,272,617		81,891		81,261			81,891
Energy contracts	1,554,400		158,625		1,799,367		171,050		62,945			75,370
Agricultural contracts	146,252		4,761		148,924		4,680		782			701
Foreign exchange contracts	73,153		73,153		72,928		72,928		73,153			72,928
Equity option contracts	208,647		12,508		208,647		12,508		12,508			12,508
Total customer derivative before cash collateral	12,373,696		431,497		12,554,110		442,268		299,168			309,939
Less: cash collateral	—		—		—		—		(11,690		)	(73,712		)
Total customer derivatives	12,373,696		431,497		12,554,110		442,268		287,478			236,227
Interest rate risk management programs	44,000		6,381		25,000		295		6,381			295
Total derivative contracts	$	12,417,696	$	437,878	$	12,579,110	$	442,563	$	293,859		$	236,522


¹	Notional amounts for commodity contracts are converted into dollar-equivalent amounts based on dollar prices at the inception of the contract.


²	Derivative contracts are recorded on a net basis in the balance sheet in recognition of master netting agreements that enable the Company to settle all derivative positions with a given counterparty in total and to offset the net derivative position with the related cash collateral.


³	Includes interest rate swaps used by borrowers to modify interest rate terms of their loans and to be announced securities used by mortgage banking customers to hedge their loan production.

The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at June 30, 2011 (in thousands):



	Gross Basis								Net Basis²
	Assets				Liabilities				Assets			Liabilities
	Notional¹		Fair Value		Notional¹		Fair Value		Fair Value			Fair Value
Customer risk management programs:
Interest rate contracts³
To-be-announced residential mortgage-backed securities	$	7,060,740	$	51,503	$	6,899,052	$	49,483	$	27,997		$	25,977
Interest rate swaps	1,197,499		64,051		1,197,499		64,051		63,442			64,051
Energy contracts	1,917,521		158,922		2,094,878		157,998		51,820			50,896
Agricultural contracts	125,644		6,025		132,573		5,961		1,847			1,783
Foreign exchange contracts	78,471		78,471		78,572		78,572		78,471			78,572
Equity option contracts	181,964		18,112		181,964		18,112		18,112			18,112
Total customer derivative before cash collateral	10,561,839		377,084		10,584,538		374,177		241,689			239,391
Less: cash collateral	—		—		—		—		(14,014		)	(65,474		)
Total customer derivatives	10,561,839		377,084		10,584,538		374,177		227,675			173,917
Interest rate risk management programs	44,000		2,212		—		—		2,212			—
Total derivative contracts	$	10,605,839	$	379,296	$	10,584,538	$	374,177	$	229,887		$	173,917


¹	Notional amounts for commodity contracts are converted into dollar-equivalent amounts based on dollar prices at the inception of the contract.


²	Derivative contracts are recorded on a net basis in the balance sheet in recognition of master netting agreements that enable the Company to settle all derivative positions with a given counterparty in total and to offset the net derivative position with the related cash collateral.


³	Includes interest rate swaps used by borrowers to modify interest rate terms of their loans and to be announced securities used by mortgage banking customers to hedge their loan production.

Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following summarizes the pre-tax net gains (losses) on derivative instruments and where they are recorded in the income statement (in thousands):

	Three Months Ended				Three Months Ended
	June 30, 2012				June 30, 2011
	Brokerage and Trading Revenue		Gain (Loss) on Derivatives, Net		Brokerage and Trading Revenue			Gain (Loss) on Derivatives, Net
Customer Risk Management Programs:
Interest rate contracts
To-be-announced residential mortgage-backed securities	$	186	$	—	$	(648	)	$	—
Interest rate swaps	1,231		—		672			—
Energy contracts	2,588		—		912			—
Agricultural contracts	92		—		92			—
Foreign exchange contracts	125		—		118			—
Equity option contracts	—		—		—			—
Total Customer Derivatives	4,222		—		1,146			—
Interest Rate Risk Management Programs	—		2,345		—			1,225
Total Derivative Contracts	$	4,222	$	2,345	$	1,146		$	1,225



	Six Months Ended					Six Months Ended
	June 30, 2012					June 30, 2011
	Brokerage and Trading Revenue		Gain (Loss) on Derivatives, Net			Brokerage and Trading Revenue			Gain (Loss) on Derivatives, Net
Customer Risk Management Programs:
Interest rate contracts
To-be-announced residential mortgage-backed securities	$	1,307	$	—		$	(4,055	)	$	—
Interest rate swaps	2,144		—			1,542			—
Energy contracts	4,898		—			4,399			—
Agricultural contracts	183		—			160			—
Foreign exchange contracts	331		—			227			—
Equity option contracts	—		—			—			—
Total Customer Derivatives	8,863		—			2,273			—
Interest Rate Risk Management Programs	—		(128		)	—			(1,348		)
Total Derivative Contracts	$	8,863	$	(128	)	$	2,273		$	(1,348	)

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details